Mathematical Sciences Research Institute - Continuous Optimization and Applications

This workshop is intended to introduce to graduate students the main ideas of Continuous Optimization and its Applications. In particular, we emphasize the major developments in the last ten years. This includes the use of interior point methods in the solution of large scale linear and nonlinear programs. The workshop includes a hands-on approach. Numerical tests will be done using the NEOS Server for Optimization. and the large group of NEOS Solvers.. Solution interpretation and sensitivity analysis will be emphasized.

The workshop is divided into three series of lectures and hands-on labs.

The first series includes an introduction to the modern theory of convex programming, its extensions and applications. This includes separation and support theorems, and Lagrange multiplier results. This series emphasizes that:
the great watershed in optimization is not between linearity and nonlinearity, but convexity and nonconvexity (Rockafellar, 1993.)
The main series of lectures involves numerical algorithms for general nonlinear optimization. This includes both modern interior point approaches as well as classical Lagrange multiplier methods such as sequential quadratic programming, SQP. We include applications to engineering and financial problems and emphasize the large scale case.
The final series concentrates on specialized topics and applications. In particular, this includes optimization over convex sets described as the intersections of the set of symmetric, positive semidefinite matrices with affine spaces, i.e. Semidefinite Programming. This area has attracted a lot of interest due to the number of important applications, to e.g. Discrete Optimization and more general Engineering Problems. We will study and use several current solvers that are in the public domain.

More Information

Currently Available Videos

Nathan Krislock, Session #5 July 10,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session #5 July 10,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session #6 July 10,2007, 10:40 AM to 12:30 PM
Nathan Krislock, Session #6 July 10,2007, 10:40 AM to 12:30 PM
Henry Wolkowicz, Session #7 July 10,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session #7 July 10,2007, 02:00 PM to 03:30 PM
Henry Wolkowicz, Session #9 July 11,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session #9 July 11,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session #10 July 11,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session #10 July 11,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session #11 July 12,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session #11 July 12,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session #12 July 12,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session #12 July 12,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session #13 July 12,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session #13 July 12,2007, 02:00 PM to 03:30 PM
Henry Wolkowicz, Session #14 July 13,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session #14 July 13,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session #15 July 13,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session #15 July 13,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session #16 July 13,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session #16 July 13,2007, 02:00 PM to 03:30 PM
Henry Wolkowicz, Session #17 July 16,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session #17 July 16,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session 18 July 16,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session 18 July 16,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session 19 July 16,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session 19 July 16,2007, 02:00 PM to 03:30 PM
Henry Wolkowicz, Session 20 July 17,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session 20 July 17,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session 21 July 17,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session 21 July 17,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session 22 July 17,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session 22 July 17,2007, 02:00 PM to 03:30 PM
Henry Wolkowicz, Session 23 July 18,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session 23 July 18,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session 24 July 18,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session 24 July 18,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session 25 July 19,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session 25 July 19,2007, 09:00 AM to 10:30 AM
Henry Wolkowicz, Session 26 July 19,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session 26 July 19,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session 27 July 19,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session 27 July 19,2007, 02:00 PM to 03:30 PM
Henry Wolkowicz, Session 28 July 20,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session 28 July 20,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session 29 July 20,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session 29 July 20,2007, 11:00 AM to 12:30 PM
Nathan Krislock, Session 30 July 20,2007, 02:00 PM to 03:30 PM
Henry Wolkowicz, Session 30 July 20,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session 31 July 20,2007, 04:00 PM to 05:30 PM
Henry Wolkowicz, Session 31 July 20,2007, 04:00 PM to 05:30 PM
Henry Wolkowicz, Session #1 July 9,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session #1 July 9,2007, 09:00 AM to 10:30 AM
Nathan Krislock, Session #2 July 9,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session #2 July 9,2007, 11:00 AM to 12:30 PM
Henry Wolkowicz, Session #3 July 9,2007, 02:00 PM to 03:30 PM
Nathan Krislock, Session #3 July 9,2007, 02:00 PM to 03:30 PM

You can find videos of other workshops and events on our VMath - Streaming Video page.

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